Click based trading with intuitive grid display of market depth

ABSTRACT

A method and system for reducing the time it takes for a trader to place a trade when electronically trading on an exchange, thus increasing the likelihood that the trader will have orders filled at desirable prices and quantities. The “Mercury” display and trading method of the present invention ensure fast and accurate execution of trades by displaying market depth on a vertical or horizontal plane, which fluctuates logically up or down, left or right across the plane as the market prices fluctuates. This allows the trader to trade quickly and efficiently.

PRIORITY

The present application claims priority to a U.S. Provisional PatentApplication No. 60/186,322 entitled “Market Depth Display Click BasedTrading and Mercury Display” filed Mar. 2, 2000, the contents of whichare incorporated herein by reference.

FIELD OF INVENTION

The present invention is directed to the electronic trading ofcommodities. Specifically, the invention provides a trader with aversatile and efficient tool for executing trades. It facilitates thedisplay of and the rapid placement of trade orders within the markettrading depth of a commodity, where a commodity includes anything thatcan be traded with quantities and/or prices.

BACKGROUND OF THE INVENTION

At least 60 exchanges throughout the world utilize electronic trading invarying degrees to trade stocks, bonds, futures, options and otherproducts. These electronic exchanges are based on three components:mainframe computers (host), communications servers, and the exchangeparticipants' computers (client). The host forms the electronic heart ofthe fully computerized electronic trading system. The system'soperations cover order-matching, maintaining order books and positions,price information, and managing and updating the database for the onlinetrading day as well as nightly batch runs. The host is also equippedwith external interfaces that maintain uninterrupted online contact toquote vendors and other price information systems.

Traders can link to the host through three types of structures: highspeed data lines, high speed communications servers and the Internet.High speed data lines establish direct connections between the clientand the host. Another connection can be established by configuring highspeed networks or communications servers at strategic access pointsworldwide in locations where traders physically are located. Data istransmitted in both directions between traders and exchanges viadedicated high speed communication lines. Most exchange participantsinstall two lines between the exchange and the client site or betweenthe communication server and the client site as a safety measure againstpotential failures. An exchange's internal computer system is also ofteninstalled with backups as a redundant measure to secure systemavailability. The third connection utilizes the Internet. Here, theexchange and the traders communicate back and forth through high speeddata lines, which are connected to the Internet. This allows traders tobe located anywhere they can establish a connection to the Internet.

Irrespective of the way in which a connection is established, theexchange participants' computers allow traders to participate in themarket. They use software that creates specialized interactive tradingscreens on the traders' desktops. The trading screens enable traders toenter and execute orders, obtain market quotes, and monitor positions.The range and quality of features available to traders on their screensvaries according to the specific software application being run. Theinstallation of open interfaces in the development of an exchange'selectronic strategy means users can choose, depending on their tradingstyle and internal requirements, the means by which they will access theexchange.

The world's stock, bond, futures and options exchanges have volatileproducts with prices that move rapidly. To profit in these markets,traders must be able to react quickly. A skilled trader with thequickest software, the fastest communications, and the mostsophisticated analytics can significantly improve his own or his firm'sbottom line. The slightest speed advantage can generate significantreturns in a fast moving market. In today's securities markets, a traderlacking a technologically advanced interface is at a severe competitivedisadvantage.

Irrespective of what interface a trader uses to enter orders in themarket, each market supplies and requires the same information to andfrom every trader. The bids and asks in the market make up the marketdata and everyone logged on to trade can receive this information if theexchange provides it. Similarly, every exchange requires that certaininformation be included in each order. For example, traders must supplyinformation like the name of the commodity, quantity, restrictions,price and multiple other variables. Without all of this information, themarket will not accept the order. This input and output of informationis the same for every trader.

With these variables being constant, a competitive speed advantage mustcome from other aspects of the trading cycle. When analyzing the time ittakes to place a trade order for a given commodity, various stepscontribute in different amounts to the total time required.Approximately 8% of the total time it takes to enter an order elapsesbetween the moment the host generates the price for the commodity andthe moment the client receives the price. The time it takes for theclient application to display the price to the trader amounts toapproximately 4%. The time it takes for a trade order to be transmittedto the host amounts to approximately 8%. The remainder of the total timeit takes to place an order, approximately 80%, is attributable to thetime required for the trader to read the prices displayed and to enter atrade order. The present invention provides a significant advantageduring the slowest portion of the trading cycle—while the tradermanually enters his order. Traders recognize that the value of timesavings in this portion may amount to millions of dollars annually.

In existing systems, multiple elements of an order must be entered priorto an order being sent to market, which is time consuming for thetrader. Such elements include the commodity symbol, the desired price,the quantity and whether a buy or a sell order is desired. The more timea trader takes entering an order, the more likely the price on which hewanted to bid or offer will change or not be available in the market.The market is fluid as many traders are sending orders to the marketsimultaneously. It fact, successful markets strive to have such a highvolume of trading that any trader who wishes to enter an order will finda match and have the order filled quickly, if not immediately. In suchliquid markets, the prices of the commodities fluctuate rapidly. On atrading screen, this results in rapid changes in the price and quantityfields within the market grid. If a trader intends to enter an order ata particular price, but misses the price because the market prices movedbefore he could enter the order, he may lose hundreds, thousands, evenmillions of dollars. The faster a trader can trade, the less likely itwill be that he will miss his price and the more likely he will makemoney.

SUMMARY OF THE INVENTION

The inventors have developed the present invention which overcomes thedrawbacks of the existing trading systems and dramatically reduces thetime it takes for a trader to place a trade when electronically tradingon an exchange. This, in turn, increases the likelihood that the traderwill have orders filled at desirable prices and quantities.

The “Mercury” display and trading method of the present invention ensurefast and accurate execution of trades by displaying market depth on avertical or horizontal plane, which fluctuates logically up or down,left or right across the plane as the market prices fluctuates. Thisallows the trader to trade quickly and efficiently.

Specifically, the present invention is directed to a graphical userinterface for displaying the market depth of a commodity traded in amarket, including a dynamic display for a plurality of bids and for aplurality of asks in the market for the commodity and a static displayof prices corresponding to the plurality of bids and asks. In thisembodiment the pluralities of bids and asks are dynamically displayed inalignment with the prices corresponding thereto. Also described hereinis a method and system for placing trade orders using such displays.

These embodiments, and others described in greater detail herein,provide the trader with improved efficiency and versatility in placing,and thus executing, trade orders for commodities in an electronicexchange. Other features and advantages of the present invention willbecome apparent to those skilled in the art from the following detaileddescription. It should be understood, however, that the detaileddescription and specific examples, while indicating preferredembodiments of the present invention, are given by way of illustrationand not limitation. Many changes and modifications within the scope ofthe present invention may be made without departing from the spiritthereof, and the invention includes all such modifications.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 illustrates the network connections between multiple exchangesand client sites;

FIG. 2 illustrates screen display showing the inside market and themarket depth of a given commodity being traded;

FIG. 3 illustrates the Mercury display of the present invention;

FIG. 4 illustrates the Mercury display at a later time showing themovement of values when compared to FIG. 3;

FIG. 5 illustrates a Mercury display with parameters set in order toexemplify the Mercury trading method; and

FIG. 6 is a flowchart illustrating the process for Mercury display andtrading.

DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS

As described with reference to the accompanying figures, the presentinvention provides a display and trading method to ensure fast andaccurate execution of trades by displaying market depth on a vertical orhorizontal plane, which fluctuates logically up or down, left or rightacross the plane as the market prices fluctuates. This allows the traderto place trade orders quickly and efficiently. A commodity's marketdepth is the current bid and ask prices and quantities in the market.The display and trading method of the invention increase the likelihoodthat the trader will be able to execute orders at desirable prices andquantities.

In the preferred embodiment, the present invention is implemented on acomputer or electronic terminal. The computer is able to communicateeither directly or indirectly (using intermediate devices) with theexchange to receive and transmit market, commodity, and trading orderinformation. It is able to interact with the trader and to generatecontents and characteristics of a trade order to be sent to theexchange. It is envisioned that the system of the present invention canbe implemented on any existing or future terminal or device with theprocessing capability to perform the functions described herein. Thescope of the present invention is not limited by the type of terminal ordevice used. Further, the specification refers to a single click of amouse as a means for user input and interaction with the terminaldisplay as an example of a single action of the user. While thisdescribes a preferred mode of interaction, the scope of the presentinvention is not limited to the use of a mouse as the input device or tothe click of a mouse button as the user's single action. Rather, anyaction by a user within a short period of time, whether comprising oneor more clicks of a mouse button or other input device, is considered asingle action of the user for the purposes of the present invention.

The system can be configured to allow for trading in a single or inmultiple exchanges simultaneously. Connection of the system of thepresent invention with multiple exchanges is illustrated in FIG. 1. Thisfigure shows multiple host exchanges 101-103 connected through routers104-106 to gateways 107-109. Multiple client terminals 110-116 for useas trading stations can then trade in the multiple exchanges throughtheir connection to the gateways 107-109. When the system is configuredto receive data from multiple exchanges, then the preferredimplementation is to translate the data from various exchanges into asimple format. This “translation” function is described below withreference to FIG. 1. An applications program interface (“TT API” asdepicted in the figure) translates the incoming data formats from thedifferent exchanges to a simple preferred data format. This translationfunction may be disposed anywhere in the network, for example, at thegateway server, at the individual workstations or at both. In addition,the storage at gateway servers and at the client workstations, and/orother external storage cache historical data such as order books whichlist the client's active orders in the market; that is, those ordersthat have neither been filled nor cancelled. Information from differentexchanges can be displayed at one or in multiple windows at the clientworkstation. Accordingly, while reference is made through the remainderof the specification to a single exchange to which a trading terminal isconnected, the scope of the invention includes the ability to trade, inaccordance with the trading methods described herein, in multipleexchanges using a single trading terminal.

The preferred embodiments of the present invention include the displayof “Market Depth” and allow traders to view the market depth of acommodity and to execute trades within the market depth with a singleclick of a computer mouse button. Market Depth represents the order bookwith the current bid and ask prices and quantities in the market. Inother words, Market Depth is each bid and ask that was entered into themarket, subject to the limits noted below, in addition to the insidemarket. For a commodity being traded, the “inside market” is the highestbid price and the lowest ask price.

The exchange sends the price, order and fill information to each traderon the exchange. The present invention processes this information andmaps it through simple algorithms and mapping tables to positions in atheoretical grid program or any other comparable mapping technique formapping data to a screen. The physical mapping of such information to ascreen grid can be done by any technique known to those skilled in theart. The present invention is not limited by the method used to map thedata to the screen display.

How far into the market depth the present invention can display dependson how much of the market depth the exchange provides. Some exchangessupply an infinite market depth, while others provide no market depth oronly a few orders away from the inside market. The user of the presentinvention can also chose how far into the market depth to display on hisscreen.

FIG. 2 illustrates a screen display of an invention described in acommonly owned co-pending application entitled “Click Based Trading withMarket Depth Display” Ser. No. 09/589,751, filed on Jun. 9, 2000, thecontents of which are incorporated herein by reference. This displayshows the inside market and the market depth of a given commodity beingtraded. Row 1 represents the “inside market” for the commodity beingtraded which is the best (highest) bid price and quantity and the best(lowest) ask price and quantity. Rows 2-5 represent the “market depth”for the commodity being traded. In the preferred embodiment of thepresent invention, the display of market depth (rows 2-5) lists theavailable next-best bids, in column 203, and asks, in column 204. Theworking bid and ask quantity for each price level is also displayed incolumns 202 and 205 respectively (inside market—row 1). Prices andquantities for the inside market and market depth update dynamically ona real time basis as such information is relayed from the market.

In the screen display shown in FIG. 2, the commodity (contract) beingtraded is represented in row 1 by the character string “CDHO”. The Depthcolumn 208 will inform the trader of a status by displaying differentcolors. Yellow indicates that the program application is waiting fordata. Red indicates that the Market Depth has failed to receive the datafrom the server and has “timed out.” Green indicates that the data hasjust been updated. The other column headings in this and all of theother figures, are defined as follows. BidQty (Bid Quantity): thequantity for each working bid, BidPrc (Bid Price): the price for eachworking bid, AskPrc (Ask Price): the price for each working ask, AskQty(Ask Quantity): the quantity for each working ask, LastPrc (Last Price):the price for the last bid and ask that were matched in the market andLastQty (Last Quantity): the quantity traded at the last price. Totalrepresents the total quantity traded of the given commodity.

The configuration of the screen display itself informs the user in amore convenient and efficient manner than existing systems. Traders gaina significant advantage by seeing the market depth because they can seetrends in the orders in the market. The market depth display shows thetrader the interest the market has in a given commodity at differentprice levels. If a large amount of bids or asks are in the market nearthe trader's position, he may feel he should sell or buy before theinside market reaches the morass of orders. A lack of orders above orbelow the inside market might prompt a trader to enter orders near theinside market. Without seeing the market depth, no such strategies couldbe utilized. Having the dynamic market depth, including the bid and askquantities and prices of a traded commodity aligned with and displayedbelow the current inside market of the commodity conveys the informationto the user in a more intuitive and easily understandable manner. Trendsin the trading of the commodity and other relevant characteristics aremore easily identifiable by the user through the use of the presentinvention.

Various abbreviations are used in the screen displays, and specifically,in the column headings of the screen displays reproduced herein. Someabbreviations have been discussed above. A list of common abbreviationsand their meanings is provided in Table 1.

TABLE I Abbreviations COLUMN DESCRIPTION Month Expiration Month/Year BidMbr₍₁₎ Bid Member ID WrkBuys₍₂₎ Working Buys for entire Group ID BidQtyBid Quantity ThrshBid₍₆₎ Threshold Bid Price BidPrc Bid Price Bid QtyAccum Accumulated Bid Quantity BidPrc Avg Bid Price Average AskPrc AvgAsk Price Average AskQty Accum Accumulated Ask Quantity AskPrc Ask PriceThrshAsk₍₆₎ Threshold Ask Price AskQty Ask Quantity WrkSells₍₂₎ WorkingSells for entire Group ID Ask Mbr₍₁₎ Ask Member ID NetPos Net PositionFFNetPos Fast Fill Net Position LastPrc Last Price LastQty Last QuantityTotal Total Traded Quantity High High Price Low Low Price Open OpeningPrice Close Closing Price Chng Last Price-Last Close TheoPrc TheoreticalPrice TheoBid Theoretical Bid Price TheoAsk Theoretical Ask Price QActQuote Action (Sends individual quotes) BQQ Test Bid Quote Quantity BQPTest Bid Quote Price Mkt BQQ Market Bid Quote Quantity Mkt BQP MarketBid Quote Price Quote Checkbox activates/deactivates contract forquoting Mkt AQQ Market Ask Quote Quantity Mkt AQP Market Ask Quote PriceAQP Ask Quote Price AQQ Ask Quote Quantity Imp BidQty₍₅₎ Implied BidQuantity Imp BidPrc₍₅₎ Implied Bid Price Imp AskQty₍₅₎ Implied AskQuantity Imp AskPrc₍₅₎ Implied Ask Price Gamma₍₃₎ Change in Delta given1 pt change in underlying Delta₍₃₎ Change in price given 1 pt change inunderlying Vola₍₃₁₎ Percent volatility Vega₍₃₎ Price change given 1%change in Vola Rho₍₃₎ Price change given 1% change in interest rateTheta₍₃₎ Price change for every day that elapses Click TrdActivate/deactivate click trading by contract S(Status) Auction, Closed,FastMkt, Not Tradable, Pre-trading, Tradable, S = post-trading ExpiryExpiration Month/Year

As described herein, the display and trading method of the presentinvention provide the user with certain advantages over systems in whicha display of market depth, as shown in FIG. 2, is used. The Mercurydisplay and trading method of the present invention ensure fast andaccurate execution of trades by displaying market depth on a vertical orhorizontal plane, which fluctuates logically up or down, left or rightacross the plane as the market prices fluctuates. This allows the traderto trade quickly and efficiently. An example of such a Mercury displayis illustrated in the screen display of FIG. 3.

The display of market depth and the manner in which traders trade withinthe market depth can be effected in different manners, which manytraders will find materially better, faster and more accurate. Inaddition, some traders may find the display of market depth to bedifficult to follow. In the display shown in FIG. 2, the market depth isdisplayed vertically so that both Bid and Ask prices descend the grid.The Bid prices descend the market grid as the prices decrease. Askprices also descend the market grid as these prices actually increase.This combination may be considered counterintuitive and difficult tofollow by some traders.

The Mercury display overcomes this problem in an innovative and logicalmanner. Mercury also provides an order entry system, market grid, fillwindow and summary of market orders in one simple window. Such acondensed display materially simplifies the trading system by enteringand tracking trades in an extremely efficient manner. Mercury displaysmarket depth in a logical, vertical fashion or horizontally or at someother convenient angle or configuration. A vertical field is shown inthe figures and described for convenience, but the field could behorizontal or at an angle. In turn, Mercury further increases the speedof trading and the likelihood of entering orders at desired prices withdesired quantities. In the preferred embodiment of the invention, theMercury display is a static vertical column of prices with the bid andask quantities displayed in vertical columns to the side of the pricecolumn and aligned with the corresponding bid and ask prices. An exampleof this display is shown in FIG. 3.

Bid quantities are in the column 1003 labeled BidQ and ask quantitiesare in column 1004 labeled AskQ. The representative ticks from pricesfor the given commodity are shown in column 1005. The column does notlist the whole prices (e.g. 95.89), but rather, just the last two digits(e.g. 89). In the example shown, the inside market, cells 1020, is 18(best bid quantity) at 89 (best bid price) and 20 (best ask quantity) at90 (best ask price). In the preferred embodiment of the invention, thesethree columns are shown in different colors so that the trader canquickly distinguish between them.

The values in the price column are static; that is, they do not normallychange positions unless a re-centering command is received (discussed indetail later). The values in the Bid and Ask columns however, aredynamic; that is, they move up and down (in the vertical example) toreflect the market depth for the given commodity. The LTQ column 1006shows the last traded quantity of the commodity. The relative positionof the quantity value with respect to the Price values reflects theprice at which that quantity was traded. Column 1001 labeled E/W(entered/working) displays the current status of the trader's orders.The status of each order is displayed in the price row where it wasentered. For example, in cells 1007, the number next to S indicates thenumber of the trader's ordered lots that have been sold at the price inthe specific row. The number next to W indicates the number of thetrader's ordered lots that are in the market, but have not beenfilled—i.e. the system is working on filling the order. Blanks in thiscolumn indicate that no orders are entered or working at that price. Incells 1008, the number next to B indicates the number of the trader'sordered lots that have been bought at the price in the specific row. Thenumber next to W indicates the number of the trader's ordered lots thatare in the market, but have not been filled—i.e. the system is workingon filling the order.

Various parameters are set and information is provided in column 1002.For example, “10:48:44” in cell 1009 shows the actual time of day. The Land R fields in cell 1010 indicate a quantity value, which may be addedto the order quantity entered. This process is explained below withrespect to trading under Mercury. Below the L and R fields, in cell1011, a number appears which represents the current market volume. Thisis the number of lots that have been traded for the chosen contract.Cell 1012, “X 10”, displays the Net Quantity, the current position ofthe trader on the chosen contract. The number “10” represents thetrader's buys minus sells. Cell 1013 is the “Current Quantity”; thisfield represents the quantity for the next order that the trader willsend to market. This can be adjusted with right and left clicks (up anddown) or by clicking the buttons which appear below the Current Quantityin cells 1014. These buttons increase the current quantity by theindicated amount; for example, “10” will increase it by 10; “1H” willincrease it by 100; “1K” will increase it by 1000. Cell 1015 is theClear button; clicking this button will clear the Current Quantityfield. Cell 1016 is the Quantity Description; this is a pull down menuallowing the trader to chose from three Quantity Descriptions. The pulldown menu is displayed when the arrow button in the window is clicked.The window includes NetPos, Offset and a field allowing the trader toenter numbers. Placing a number in this field will set a default buy orsell quantity. Choosing “Offset” in this field will enable the L/Rbuttons of cell 1010. Choosing “NetPos” in this field will set thecurrent Net Quantity (trader's net position) as the trader's quantityfor his next trade. Cell 1017 are +/−buttons; these buttons will alterthe size of the screen—either larger (+) or smaller (−). Cell 1018 isused to invoke Net 0; clicking this button will reset the Net Quantity(cell 1011) to zero. Cell 1019 is used to invoke Net Real; clicking thisbutton will reset the Net Quantity (cell 1011) to its actual position.

The inside market and market depth ascend and descend as prices in themarket increase and decrease. For example, FIG. 4 shows a screendisplaying the same market as that of FIG. 3 but at a later intervalwhere the inside market, cells 1101, has risen three ticks. Here, theinside market for the commodity is 43 (best bid quantity) at 92 (bestbid price) and 63 (best ask quantity) at 93 (best ask price). Incomparing FIGS. 3 and 4, it can be seen that the price column remainedstatic, but the corresponding bids and asks rose up the price column.Market Depth similarly ascends and descends the price column, leaving avertical history of the market.

As the market ascends or descends the price column, the inside marketmight go above or below the price column displayed on a trader's screen.Usually a trader will want to be able to see the inside market to assessfuture trades. The system of the present invention addresses thisproblem with a one click centering feature. With a single click at anypoint within the gray area, 1021, below the “Net Real” button, thesystem will re-center the inside market on the trader's screen. Also,when using a three-button mouse, a click of the middle mouse button,irrespective of the location of the mouse pointer, will re-center theinside market on the trader's screen.

The same information and features can be displayed and enabled in ahorizontal fashion. Just as the market ascends and descends the verticalMercury display shown in FIGS. 3 and 4, the market will move left andright in the horizontal Mercury display. The same data and the sameinformation gleaned from the dynamical display of the data is provided.It is envisioned that other orientations can be used to dynamicallydisplay the data and such orientations are intended to come within thescope of the present invention.

Next, trading commodities, and specifically, the placement of tradeorders using the Mercury display is described. Using the Mercury displayand trading method, a trader would first designate the desired commodityand, if applicable, the default quantities. Then he can trade withsingle clicks of the right or left mouse button. The following equationsare used by the system to generate trade orders and to determine thequantity and price to be associated with the trade order. The followingabbreviations are used in these formulas: P=Price value of row clicked,R=Value in R field, L=Value in L field, Q=Current Quantity, Q_(a)=Totalof all quantities in AskQ column at an equal or better price than P,Q_(b)=Total of all quantities in BidQ column at an equal or better pricethan P, N=Current Net Position, Bo=Buy order sent to market and So=Sellorder sent to market.

Any order entered using right mouse button

Bo=(Q _(a) +R)P  (Eq. 1)

If BidQ field clicked.

So=(Q _(b) +R)P  (Eq. 2)

If AskQ field clicked.

Orders entered using the left mouse button

If “Offset” mode chosen in Quantity Description field then:

Bo=(Q _(a) +L)P  (Eq. 3)

If BidQ field clicked.

So=(Q _(b) +L)P  (Eq. 4)

If AskQ field clicked.

If “number” mode chosen in Quantity Description field then:

Bo=QP  (Eq. 5)

So=QP  (Eq. 6)

If “NetPos” mode chosen in Quantity Description field then:

Bo=NP  (Eq. 7)

So=NP  (Eq. 8)

Orders can also be sent to market for quantities that vary according tothe quantities available in the market; quantities preset by the trader;and which mouse button the trader clicks. Using this feature, a tradercan buy or sell all of the bids or asks in the market at or better thana chosen price with one click. The trader could also add or subtract apreset quantity from the quantities outstanding in the market. If thetrader clicks in a trading cell—i.e. in the BidQ or AskQ column, he willenter an order in the market. The parameters of the order depend onwhich mouse button he clicks and what preset values he set.

Using the screen display and values from FIG. 5, the placement of tradeorders using the Mercury display and trading method is now describedusing examples. A left click on the 18 in the BidQ column 1201 will sendan order to market to sell 17 lots (quantity # chosen on the QuantityDescription pull down menu cell 1204) of the commodity at a price of 89(the corresponding price in the Prc column 1203). Similarly, a leftclick on the 20 in the AskQ column 1202 will send an order to market tobuy 17 lots at a price of 90.

Using the right mouse button, an order would be sent to market at theprice that corresponds to the row clicked for the total quantity oforders in the market that equal or better the price in that row plus thequantity in the R field 1205. Thus, a right click in the AskQ column1202 in the 87 price row will send a sell order to market at a price of87 and a quantity of 150. 150 is the sum of all the quantities 30, 97,18 and 5. 30, 97 and 18 are all of the quantities in the market thatwould meet or better the trader's sell order price of 87. Thesequantities are displayed in the BidQ column 1201 because this columnrepresents the orders outstanding in the market to purchase thecommodity at each corresponding price. The quantity 5 is the quantitypre-set in the R field 1205.

Similarly, a right click in the BidQ column 1201 at the same price levelof 87 would send a buy limit order to market for a quantity of 5 at aprice of 87. The quantity is determined in the same manner as above. Inthis example, though, there are no orders in the market that equal orbetter the chosen price—there are no quantities in the AskQ column 1202that equal or better this price. Therefore, the sum of the equal orbetter quantities is zero (“0”). The total order entered by the traderwill be the value in the R field, which is 5.

An order entered with the left mouse button and the “Offset” optionchosen in the quantity description field 1204 will be calculated in thesame way as above, but the quantity in the L field 1206 will be addedinstead of the quantity in the R field 1205. Thus, a left click in theBidQ column 1201 in the 92 price row will send a buy order to market ata price of 92 and a quantity of 96. 96 is the sum of all the quantities45, 28, 20 and 3. 45, 28 and 20 are all quantities in the market thatwould meet or better the trader's buy order price of 92. Thesequantities are displayed in the AskQ column 1202 because this columnrepresents the orders outstanding in the market to sell the commodity ateach corresponding price. The quantity 3 is the quantity pre-set in theL field 1206.

The values in the L or R fields may be negative numbers. This wouldeffectively decrease the total quantity sent to market. In other words,in the example of a right click in the AskQ column 1202 in the 87 pricerow, if the R field was −5, the total quantity sent to market would be140 (30+97+18+(−5)).

If a trader chose the “NetPos” option in the quantity description field1204, a right click would still work as explained above. A left clickwould enter an order with a price corresponding to the price row clickedand a quantity equal to the current Net position of the trader. The Netposition of the trader is the the trader's current position on thechosen contract. In other words, if the trader has bought 10 morecontracts than he has sold, this value would be 10. NetPos would notaffect the quantity of an order sent with a right click.

If the trader chose a number value in the quantity description, a leftclick would send an order to market for the current quantity chosen bythe trader. The default value of the current quantity will be the numberentered in the quantity description field, but it could be changed byadjusting the figure in the current quantity field 1204.

This embodiment of the invention also allows a trader to delete all ofhis working trades with a single click of either the right or left mousebutton anywhere in the last traded quantity (LTQ) column 1207. Thisallows a trader to exit the market immediately. Traders will use thisfeature when they are losing money and want to stop the losses frompilling up. Traders may also use this feature to quickly exit the marketupon making a desired profit. The invention also allows a trader todelete all of his orders from the market at a particular price level. Aclick with either mouse button in the Entered/Working (E/W) column 1208will delete all working orders in the cell that was clicked. Thus, if atrader believes that previously sent orders at a particular price thathave not been filled would be poor trades, he can delete these orderswith a single click.

The process for placing trade orders using the Mercury display andtrading method of the present invention as described above is shown inthe flowchart of FIG. 6. First, in step 1301, the trader has the Mercurydisplay on the trading terminal screen showing the market for a givencommodity. In step 1302, the parameters are set in the appropriatefields, such as the L and R fields and the Current Quantity, NetPos orOffset fields from the pull down menu. In step 1303, the mouse pointeris positioned and clicked over a cell in the Mercury display by thetrader. In step 1304, the system determines whether the cell clicked isa tradeable cell (i.e. in the AskQ column or BidQ column). If not, thenin step 1305, no trade order is created or sent and, rather, otherquantities are adjusted or functions are performed based upon the cellselected. Otherwise, in step 1306, the system determines whether it wasthe left or the right button of the mouse that was clicked. If it wasthe right, then in step 1307, the system will use the quantity in the Rfield when it determines the total quantity of the order in step 1310.If the left button was clicked, then in step 1308, the system determineswhich quantity description was chosen: Offset, NetPos or an actualnumber.

If Offset was chosen, then the system, in step 1309, will use thequantity in the L field when it determines the total quantity of theorder in step 1310. If NetPos was chosen, then the system, in step 1312,will determine that the total quantity for the trade order will becurrent NetPos value, i.e. the net position of the trader in the givencommodity. If an actual number was used as the quantity description,then, in step 1311, the system will determine that the total quantityfor the trade order will be the current quantity entered. In step 1310,the system will determine that the total quantity for the trade orderwill be the value of the R field (if step 1307 was taken) or the valueof the L field (if step 1309 was taken) plus all quantities in themarket for prices better than or equal to the price in the row clicked.This will add up the quantities for each order in the market that willfill the order being entered by the trader (plus the L or R value).

After either steps 1310, 1311 or 1312, the system, in step 1313,determines which column was clicked, BidQ or AskQ. If AskQ was clicked,then, in step 1314, the system sends a sell limit order to the market atthe price corresponding to the row for the total quantity as alreadydetermined. If BidQ was clicked, then, in step 1315, the system sends abuy limit order to the market at the price corresponding to the row forthe total quantity as already determined.

It should be understood that the above description of the invention andspecific examples, while indicating preferred embodiments of the presentinvention, are given by way of illustration and not limitation. Manychanges and modifications within the scope of the present invention maybe made without departing from the spirit thereof, and the presentinvention includes all such changes and modifications.

We claim:
 1. A method of placing a trade order for a commodity on an electronic exchange having an inside market with a highest bid price and a lowest ask price, using a graphical user interface and a user input device, said method comprising: setting a preset parameter for the trade order displaying market depth of the commodity, through a dynamic display of a plurality of bids and a plurality of asks in the market for the commodity, including at least a portion of the bid and ask quantities of the commodity, the dynamic display being aligned with a static display of prices corresponding thereto, wherein the static display of prices does not move in response to a change in the inside market; displaying an order entry region aligned with the static display prices comprising a plurality of areas for receiving commands from the user input devices to send trade orders, each area corresponding to a price of the static display of prices; and selecting a particular area in the order entry region through single action of the user input device with a pointer of the user input device positioned over the particular area to set a plurality of additional parameters for the trade order and send the trade order to the electronic exchange.
 2. A method of placing a trade order according to claim 1, wherein said trade order is a buy order if the position of the pointer at the time of said single action is within a bid order entry region and wherein said trade order is a sell order if the position of the pointer at the time of said single action is within an ask order entry region.
 3. A method of placing a trade order according to claim 2, wherein the trade order is for a pre-determined fixed quantity and for a price corresponding to the position of the pointer at the time of said single action.
 4. A method of placing a trade order according to claim 2, wherein the trade order is for a quantity equal to a current net position of the user in the commodity and for a price corresponding to the position of the pointer at the time of said single action.
 5. A method of placing a trade order according to claim 2, wherein the trade order is for a quantity equal to a pre-determined fixed offset plus the sum of all quantities in the market at prices better than or equal to a price corresponding to the position of the pointer at the time of said single action and for a price corresponding to said position.
 6. A method of placing a trade order according to claim 2, wherein said offset is equal to a first pre-determined value if a single action of a first type is taken and said offset is equal to a second pre-determined value if a single action of a second type is taken.
 7. A method of placing a trade order according to claim 2, further comprising canceling said trade order in response to a subsequent single action of the user input device.
 8. A computer readable medium having program code recorded thereon, for execution on a computer having a graphical user interface and a user input device, to place a trade order for a commodity on an electronic exchange having an inside market with a highest bid price and a lowest ask price, comprising: a first program code for setting a preset parameter for the trade order; a second program code displaying market depth of a commodity, through a dynamic display of a plurality of bids and a plurality of asks in the market for the commodity, including the bid and ask quantities of the commodity, aligned with a static display of prices corresponding thereto, wherein the static display of prices does not move in response to a change in the inside market; a third program code for displaying an order entry region comprising a plurality of areas for receiving commands from the user input device to send trade orders, aligned with the static display of prices, each area corresponding to a price of the static display of prices; and a fourth program code for receiving a command as a result of a selection of a particular area in the order entry region by a single action of the user input device with a pointer of the user input device positioned over the particular area, to set a plurality of additional parameters for the trade order and send the trade order to the electronic exchange.
 9. A computer readable medium having program code recorded thereon, for execution on a computer to place a trade order according to claim 8, further comprising program code for establishing that said trade order is a buy order if the position of the pointer at the time of said single action is within a bid order entry region and that said trade order is a sell order if the position of the pointer at the time of said single action is within an ask order entry region.
 10. A computer readable medium having program code recorded thereon, for execution on a computer to place a trade order according to claim 9, further comprising program code for establishing that the trade order is for a pre-determined fixed quantity and for a price corresponding to the position of the pointer at the time of said single action.
 11. A computer readable medium having program code recorded thereon, for execution on a computer to place a trade order according to claim 9, further comprising program code for establishing that the trade order is for a quantity equal to a current net position of the user in the commodity and for a price corresponding to the position of the pointer at the time of said single action.
 12. A computer readable medium having program code recorded thereon, for execution on a computer to place a trade order according to claim 9, further comprising program code for establishing that the trade order is for a quantity equal to a pre-determined fixed offset plus the sum of all quantities in the market at prices better than or equal to a price corresponding to the position of the pointer at the time of said single action and for a price corresponding to said position.
 13. A computer readable medium having program code recorded thereon, for execution on a computer to place a trade order according to claim 12, further comprising program code for establishing that said offset is equal to a first pre-determined value if a single action of a first type is taken and said offset is equal to a second pre-determined value if a single action of a second type is taken.
 14. A client system for placing a trade order for a commodity on an electronic exchange having an inside market with a highest bid price and a lowest ask price, the system comprising: a parameter setting component for setting a preset parameter for the trade order; a display device for displaying market depth of a commodity, through a dynamic display of a plurality of bids and a plurality of asks in the market for the commodity, including the bid and ask quantities of the commodity, aligned with a static display of prices corresponding thereto, wherein the static display of prices does not move when the inside market changes, and for displaying an order entry region aligned with the static display of prices, comprising a plurality of areas for receiving commands to send trade orders, each area corresponding to a price of the static display of prices; a user input device for positioning a pointer thereof over an area in the order entry region; and a trade order sending component for receiving a command as a result of a selection of the area in the order entry region by a single action of the user input device with a pointer of the user input device positioned over the area, to set a plurality of additional parameters for the trade order and send the trade order to the electronic exchange.
 15. A client system for placing a trade order for a commodity according to claim 14, wherein said trade order sending component establishes that said trade order is a buy order if the position of the pointer at the time of said single action is within a bid order entry region and that said trade order is a sell order if the position of the pointer at the time of said single action is within an ask order entry region.
 16. A client system for placing a trade order for a commodity according to claim 15, wherein said trade order sending component establishes that the trade order is for a pre-determined fixed quantity and for a price corresponding to the position of the pointer at the time of said single action.
 17. A client system for placing a trade order for a commodity according to claim 15, wherein said trade order sending component establishes that the trade order is for a quantity equal to a current net position of the user in the commodity and for a price corresponding to the position of the pointer at the time of said single action.
 18. A client system for placing a trade order for a commodity according to claim 15, wherein said trade order sending component establishes that the trade order is for a quantity equal to a predetermined fixed offset plus the sum of all quantities in the market at prices better than or equal to a price corresponding to the position of the pointer at the time of said single action and for a price corresponding to said position.
 19. A client system for placing a trade order for a commodity according to claim 18, wherein said trade order sending component establishes that said offset is equal to a first pre-determined value if a single action of a first type is taken and said offset is equal to a second predetermined value if a single action of a second type is taken.
 20. A method according to claim 1, wherein said displaying the market depth of a commodity traded in a market further comprises displaying said bids and asks in a vertical orientation.
 21. A method according to claim 1, wherein said displaying the market depth of a commodity traded in a market further comprises displaying said bids and asks in a horizontal orientation.
 22. A method according to claim 1, wherein a plurality of said displayed bids and asks in the market include bid and ask quantities of the commodity.
 23. A method according to claim 1, wherein said displaying the market depth of a commodity traded in a market further comprises displaying said bids and asks in different colors.
 24. A method according to claim 1, further comprising re-centering said prices corresponding to the bids and asks about an inside market price upon receipt of a re-centering instruction.
 25. A method according to claim 1, further comprising dynamically displaying working orders in alignment with the prices corresponding thereto.
 26. A method of displaying according to claim 1, further comprising dynamically displaying entered orders in alignment with the prices corresponding thereto, wherein said entered orders indicate a quantity of said commodity for which a trader's orders have been filled at said corresponding prices.
 27. A method according to claim 1, wherein said displaying the market depth of a commodity traded in a market further comprises displaying said statically displayed prices in at least one direction in numerical order.
 28. A method according to claim 1, wherein said displaying the market depth of a commodity traded in a market further comprises displaying said statically displayed prices along a single line in numerical order.
 29. A method of displaying according to claim 1, wherein said displaying the market depth of a commodity traded in a market further comprises dynamically displaying a last traded quantity for said commodity in alignment with the price corresponding thereto.
 30. A computer readable medium according to claim 8, further comprising program code to ensure that said displayed bids, asks and prices are oriented vertically.
 31. A computer readable medium according to claim 8, further comprising program code to ensure that said displayed bids, asks and prices are oriented horizontally.
 32. A computer readable medium according to claim 8, further comprising program code to ensure that a plurality of bids and asks in the market include bid and ask quantities of the commodity.
 33. A computer readable medium according to claim 8, further comprising program code to ensure that bids and asks are displayed in different colors.
 34. A computer readable medium according to claim 8, further comprising program code to ensure that said displayed prices corresponding to the bids and asks are re-centered about an inside market price upon receipt of a re-centering instruction.
 35. A computer readable medium according to claim 8, further comprising program code for dynamically displaying working orders in alignment with the prices corresponding thereto.
 36. A computer readable medium according to claim 8, further comprising program code for dynamically displaying entered orders in alignment with the prices corresponding thereto, wherein said entered orders indicate a quantity of said commodity for which a trader's orders have been filled at said corresponding prices.
 37. A computer readable medium according to claim 8, further comprising program code to ensure that said statically displayed prices are displayed in at least one direction in numerical order.
 38. A computer readable medium according to claim 8, further comprising program code to ensure that said statically displayed prices are displayed along a single line in numerical order.
 39. A computer readable medium according to claim 8, further comprising program code for dynamically displaying a last traded quantity for said commodity in alignment with the price corresponding thereto.
 40. A client system according to claim 14, wherein said displays are oriented vertically.
 41. A client system according to claim 14, wherein said displays are oriented horizontally.
 42. A client system according to claim 14, wherein said displays of the pluralities of bids and asks in the market include bid and ask quantities of the commodity.
 43. A client system according to claim 14, wherein said displays are displayed in different colors.
 44. A client system according to claim 14, wherein said display of prices corresponding to the bids and asks is re-centered about an inside market price upon re-centering instruction from a user.
 45. A client system according to claim 14, further comprising a display of working orders displayed in alignment with the prices corresponding thereto.
 46. A client system according to claim 14, wherein said display device displays entered orders in alignment with the prices corresponding thereto and wherein said entered orders indicate a quantity of said commodity for which a trader's orders have been filled at said corresponding prices.
 47. A client system according to claim 14, wherein said static display of prices is displayed in at least one direction in numerical order.
 48. A client system according to claim 14, wherein said static display of prices is displayed along a single line in numerical order.
 49. A client system according to claim 14, wherein said display device displays a last traded quantity for said commodity in alignment with the price corresponding thereto.
 50. The method of claim 2, wherein the bid order entry region overlaps with a bid display region and the ask order entry region overlaps with an ask display region.
 51. A computer readable medium having program code recorded thereon, for execution on a computer to place a trade order according to claim 9, wherein the bid order entry region overlaps with a bid display region and the ask order entry region overlaps with an ask display region.
 52. A client system for placing a trade order for a commodity according to claim 15, wherein the bid order entry region overlaps with a bid display region and the ask order entry region overlaps with an ask display region.
 53. The method of claim 1 wherein the market depth is based on an exchange order book and wherein the static display of prices does not move in response to the addition of a price to the exchange order book, the additional price comprising a displayed price.
 54. The method of claim 53 wherein the static display of prices does not move in response to the removal of a price from the exchange order book, the removed price comprising a displayed price.
 55. The method of claim 1 wherein the market depth is based on an exchange order book and the static display of prices never moves in response to a price change in the exchange order book relating to a price which is displayed.
 56. The method of claim 1 wherein the plurality of additional parameters comprises a price and type of order. 